Yes there is an API function to create a shorcut. You cann create a shorcut wherever you want :

Code:
Private Declare Function fCreateShellLink Lib "STKIT432.DLL" _
(ByVal lpstrFolderName As String, ByVal lpstrLinkName _
As String, ByVal lpstrLinkPath As String, ByVal _
lpstrLinkArgs As String) As Long

Private Sub Form_Load()
    lngResult = fCreateShellLink("..\..\Desktop", _
    "Link to my program ", "Filename.exe", "OK")
End Sub
I hope this will help you !

Greetz Don